| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 37.52% | 35.66% |
| CAGR﹪ | 63.35% | 59.95% |
| Sharpe | 1.65 | 1.2 |
| Prob. Sharpe Ratio | 72.15% | 58.26% |
| Smart Sharpe | 1.58 | 1.15 |
| Sortino | 2.34 | 1.84 |
| Smart Sortino | 2.25 | 1.77 |
| Sortino/√2 | 1.65 | 1.3 |
| Smart Sortino/√2 | 1.59 | 1.25 |
| Omega | 1.34 | 1.34 |
| Max Drawdown | -12.84% | -14.76% |
| Longest DD Days | 76 | 117 |
| Volatility (ann.) | 28.3% | 40.48% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 4.93 | 4.06 |
| Skew | -0.85 | 1.05 |
| Kurtosis | 4.6 | 21.13 |
| Expected Daily | 0.2% | 0.19% |
| Expected Monthly | 3.6% | 3.45% |
| Expected Yearly | 17.27% | 16.47% |
| Kelly Criterion | 15.15% | 18.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.72% | -3.98% |
| Expected Shortfall (cVaR) | -2.72% | -3.98% |
| Max Consecutive Wins | 4 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.4 | 0.36 |
| Gain/Pain (1M) | 3.15 | 3.08 |
| Payoff Ratio | 1.06 | 1.23 |
| Profit Factor | 1.4 | 1.36 |
| Common Sense Ratio | 1.52 | 1.48 |
| CPC Index | 0.84 | 0.92 |
| Tail Ratio | 1.09 | 1.08 |
| Outlier Win Ratio | 3.93 | 3.34 |
| Outlier Loss Ratio | 4.92 | 4.6 |
| MTD | -10.37% | -11.01% |
| 3M | 5.03% | 4.65% |
| 6M | 15.7% | 14.57% |
| YTD | 5.98% | 4.54% |
| 1Y | 37.52% | 35.66% |
| 3Y (ann.) | 63.35% | 59.95% |
| 5Y (ann.) | 63.35% | 59.95% |
| 10Y (ann.) | 63.35% | 59.95% |
| All-time (ann.) | 63.35% | 59.95% |
| Best Day | 5.23% | 18.48% |
| Worst Day | -8.94% | -12.81% |
| Best Month | 16.05% | 16.56% |
| Worst Month | -10.37% | -11.01% |
| Best Year | 29.76% | 29.77% |
| Worst Year | 5.98% | 4.54% |
| Avg. Drawdown | -2.69% | -4.22% |
| Avg. Drawdown Days | 10 | 18 |
| Recovery Factor | 2.92 | 2.42 |
| Ulcer Index | 0.05 | 0.06 |
| Serenity Index | 1.41 | 0.97 |
| Avg. Up Month | 7.5% | 7.51% |
| Avg. Down Month | -5.38% | -5.72% |
| Win Days | 56.41% | 54.94% |
| Win Month | 77.78% | 66.67% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.45 | - |
| Alpha | 0.28 | - |
| Correlation | 64.64% | - |
| Treynor Ratio | 67.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 29.77 | 29.76 | 1.00 | - |
| 2026 | 4.54 | 5.98 | 1.32 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-03-24 | -12.84 | 21 |
| 2026-01-29 | 2026-03-02 | -12.20 | 32 |
| 2025-10-21 | 2026-01-05 | -10.72 | 76 |
| 2025-09-12 | 2025-09-22 | -1.95 | 10 |
| 2026-01-13 | 2026-01-20 | -1.93 | 7 |
| 2025-08-11 | 2025-08-22 | -1.54 | 11 |
| 2025-09-30 | 2025-10-03 | -1.49 | 3 |
| 2025-09-24 | 2025-09-29 | -1.24 | 5 |
| 2026-01-21 | 2026-01-22 | -1.19 | 1 |
| 2026-01-08 | 2026-01-12 | -0.73 | 4 |